To answer your questions:
1) There's no embouchure as such, although getting your lips into condition to maintain a good seal around the blowpipe can take a bit of time.
2) Dunbar makes good bagpipes. The P-1 model is fine, and not just as a student model. If you intend to play in a band, you may want to look into the P-2 or P-3 models, which have more traditional styling. The Pipers' Choice pipes aren't bad for practicing.
3) DO NOT buy a set of bagpipes now. If you must buy something, buy a practice chanter. You will use the PC your whole piping career - it's what you learn tunes on, even after you've graduated to pipes.
4) I would say, don't even buy a PC until you've found a teacher. Some teachers are picky about what PCs their students have. Some don't care.
5) If you're interested in learning a lot more about piping, I would suggest joining the Bob Dunsire forums at
http://www.bobdunsire.com. You'll find a lot of pipers there and practically any question you have has probably been covered.
Good luck! It's a long journey, but well worth it.
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